From this extracted lipids (main component is triglycerides), you can do transesterification reaction with alcohol (CH3OH or C2H5OH, CH3OH is more popular) in the presence of alkaline homogeneous catalysts (NaOH, KOH, CH3ONa, KH3ONa, CH3ONa is the best). This reaction can be carried out in three-necked flask (batch reactor). You can use oil bath for heating condition. This heating condition is the most simple in comparison with other conditions (microwave or ultrasonic irradiation). You also need to vary the conditions for reactions (Alcohol/oil molar ratio, catalyst content, temp, time,...).However, you need the check FFA% before doing this reaction because FFA will react with cataylyst to form soap. If the FFA% is not more than 2 wt.%, you can do this transesterification reaction right now.
Firstly, you need to check the composition of microalgae by GC, GC-MS,.. to determine the content of all of triglycerides in microalgae. And then, you can vary the content of MeOH and NaOH in comparison with microalgae (maybe MeOH/Microalgae = 6 - 9 by mole, NaOH/Microalgae = 1 -2 wt.%, these values are only examples and depends on the composition of your feedstock).
Herein is a review paper about biodiesel production from microalgae. You can know more details about this.